no code implementations • 10 Oct 2023 • Alvaro Cauderan, Gauthier Boeshertz, Florian Schwarb, Calvin Zhang
We present an algorithm that learns to imitate expert behavior and can transfer to previously unseen domains without retraining.
1 code implementation • 18 Jan 2021 • Antonio Briola, Jeremy Turiel, Riccardo Marcaccioli, Alvaro Cauderan, Tomaso Aste
The training is performed on three contiguous months of high frequency Limit Order Book data, of which the last month constitutes the validation data.